A Mathematical Study of Arbitrage

Janet Stone, Harvey M. Wagner

Expert InsightsPublished 1958

A study of the mathematical structure underlying nearly perfect exchange markets spatially or temporally separated. Such questions are investigated as the equilibrium conditions for a set of exchange rates and how arbitrage possibilities are discovered and if they exist. The analysis involves the combined use of an algebraic representation-conducive to deriving qualitative features characterizing a multiexchange market-and two linear-programming models. One model is used in establishing a desirable set of equilibrium exchange rates, and the other permits an efficient computational scheme for discovering arbitrage possibilities.

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Document Details

  • Copyright: RAND Corporation
  • Availability: Web Only
  • Year: 1958
  • Pages: 42
  • Document Number: P-1478

Citation

Chicago Manual of Style

Stone, Janet and Harvey M. Wagner, A Mathematical Study of Arbitrage. Santa Monica, CA: RAND Corporation, 1958. https://www.rand.org/pubs/papers/P1478.html.
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